Hello,

I am trying to calculate the upper tail dependence coefficient of Gumbel
copula using fCopulae v2110.78.
Please find below the two scripts and their outputs which I run in R v
2.10.1.
May I know which is the value for the upper tail dependence coefficient?

Thanks in advance,
Brenda
---

*>
gumbel1<-archmCopulaFit(pseudoCopulaData1[,"stocks"],pseudoCopulaData1[,"tbonds"],
type = "4")
> gumbel1*
$par
   alpha
1.008416

$objective
[1] -0.0001530821

$convergence
[1] 0

$message
[1] "relative convergence (4)"

$iterations
[1] 8

$evaluations
function gradient
      10        9

*> archmTailCoeff(alpha = gumbel1$par, type = "4")*
$lambdaU.Cuv
 [1] 0.50401398 0.25747925 0.13444204 0.07297333 0.04225071 0.02689224
0.01921371 0.01537462
 [9] 0.01345512 0.01249538 0.01201551 0.01177557 0.01165561 0.01159563
0.01156563 0.01155064
[17] 0.01154314 0.01153939 0.01153752 0.01153658

attr(,"control")
             alpha             copula               type
"1.00841552720549"            "archm"                "4"

$lambdaU.Phi
 [1] 0.790432 1.054241 1.163483 1.213232 1.236976 1.248576 1.254309 1.257159
1.258579 1.259289
[11] 1.259643 1.259820 1.259909 1.259953 1.259975 1.259986 1.259992 1.259995
1.259996 1.259997

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